Second
Nightmare - you should have upgraded weapons and health using new game+ - fly through the game not worrying about picking things up. This playthrough should be fairly quick compared to the first. It can get pretty mad. I tried nightmare and got to the second world but I was trying for collectibles to - I ended up restarting because you do end up dieing more than expected. If you are getting the dresses try it on first run. Otherwise I would really take advantage of fully upgraded weapons and health. Some parts can be pretty tough!

You know, once you complete the game on any difficulty, you are able to switch to the Classic dress which will regenerate health when shrinking. I used that dress for nightmare run through. Didn't cost me an extra cent...